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Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem - MaRDI portal

Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem (Q5379243)

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scientific article; zbMATH DE number 7059881
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English
Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem
scientific article; zbMATH DE number 7059881

    Statements

    title
    Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem (English)
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    author
    Stefan Cutajar
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    Helena Šmigoc
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    Adrian O'Hagan
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    publication date
    28 May 2019
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    zbMATH Keywords
    actuarial risk correlation matrices
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    nearest positive semidefinite matrix problem
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    semidefinite programming
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    alternating projections method
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    shrinking method
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    describes a project that uses
    SeDuMi
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    Mosek
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    Matlab
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    15B48
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    65F30
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    90C22
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    zbMATH DE Number
    7059881
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    OpenAlex ID
    W2756689669
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